tail risk

The question of whether markets are prepared for the default of such a large debtor is a good one to ask in thinking about tail risk as the situation at Petrobras encapsulates the intersection of emerging market US dollar corporate debt,…

This is my third post on tail risk now. I think the continued and broadening market volatility we have seen across asset classes in the last few months is a sign of increased tail risk and i wanted to put some parameters around how to think…

By Claus Vistesen Events in Japan and Libya do not seem to have derailed the ongoing positive sentiment in the market. But they just might have alerted various Masters of the Universe that black holes (or was that swans?) are both…

This is really motivated by being incredibly frustrated with what happened a couple of years ago. Obviously there was a financial crisis; that's not what frustrated me. I am one of the naysayers who was not at all surprised there was a…

By Niels Jensen The Absolute Return Letter, April 2011 “When models turn on, brains turn off.” Til Schulman I have been thinking a great deal about risk over the past couple of years. The depth of the financial crisis…

Here's more from the CNBC session with Kyle Bass, Managing Partner of Hayman Capital Management. David Faber introduced the topic as a discussion about tail risk and the "end of the world" trade. Bass took exception to that…

Highlights The US dollar is trading narrowly mixed against most of the major currencies ahead of the FOMC meeting. The euro’s recovery, after disappointing price action late Friday and yesterday, has brought it back to within striking…

Evidently there is now a considerable debate out there about the famous (or should that be infamous) CEBS stress tests. Methodologically all sorts of weaknesses have been identified, but in many cases these are decidedly beside the point.…

The following post appeared on Wednesday at Rick Bookstaber’s new blog. Bookstaber is a market veteran who has long and storied history of achievement. He worked at Bridgewater Associates, ran the Quantitative Equity Fund at FrontPoint…